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International dynamic asset allocation and return predictability
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Basu, Devraj, Oomen, Roel and Stremme, Alexander (2010) International dynamic asset allocation and return predictability. Journal of Business Finance & Accounting, Vol.37 (No.7-8). pp. 1008-1025. doi:10.1111/j.1468-5957.2010.02195.x ISSN 0306-686X.
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Official URL: http://dx.doi.org/10.1111/j.1468-5957.2010.02195.x
Abstract
The presence of time varying investment opportunity sets has been documented in the context of international asset allocation, and the economic value associated with these is a topic of lively debate in the academic literature. This paper constructs simple, real-time dynamic international asset allocation strategies based on daily data that exploit the return predictability arising from time varying market integration. Our timing strategies outperform the major (US, UK, Japanese and German) country indices and related portfolios, particularly in down markets. The strategies appear to capture much of the economic value of the return predictability implied by market integration and have many of the characteristics of successful timing strategies.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | Journal of Business Finance & Accounting | ||||
Publisher: | Wiley-Blackwell Publishing Ltd. | ||||
ISSN: | 0306-686X | ||||
Official Date: | September 2010 | ||||
Dates: |
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Volume: | Vol.37 | ||||
Number: | No.7-8 | ||||
Number of Pages: | 18 | ||||
Page Range: | pp. 1008-1025 | ||||
DOI: | 10.1111/j.1468-5957.2010.02195.x | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
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